Zobrazeno 1 - 10
of 92
pro vyhledávání: '"Giovanni BARONE-ADESI"'
Publikováno v:
Journal of Econometrics. 216:430-449
We propose a nonparametric Bayesian approach for the estimation of the pricing kernel. Historical stock returns and option market data are combined through the Dirichlet Process (DP) to construct an option-adjusted physical measure. The precision par
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9a21faadd0be023d87fe4655c269bb83
https://doi.org/10.1016/j.jeconom.2019.11.001
https://doi.org/10.1016/j.jeconom.2019.11.001
Autor:
Giovanni Barone-Adesi, Carlo Sala
Publikováno v:
Stochastic Analysis and Applications. 38:686-707
This paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the pricing kernel and, more in general, for the validity of the fundamental th...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::026112bdebd01b9b8765ef7679473026
https://doi.org/10.1080/07362994.2019.1711119
https://doi.org/10.1080/07362994.2019.1711119
Publikováno v:
Annals of Operations Research. 313:603-604
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3c4d1f47f17b32215930ef1fd89db9d6
https://doi.org/10.1007/s10479-022-04746-9
https://doi.org/10.1007/s10479-022-04746-9
Publikováno v:
International Journal of Finance & Economics. 24:1409-1428
The forward‐looking nature of option market data allows one to derive economically based and model‐free risk measures. This article proposes an extensive analysis of the performances of option‐implied value at risk and conditional value at risk
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2859cf59d2e6befc904b0ace067b2476
https://doi.org/10.1002/ijfe.1743
https://doi.org/10.1002/ijfe.1743
Autor:
Giovanni Barone-Adesi, Carlo Sala
Publikováno v:
The European Journal of Finance. 25:1166-1193
Market efficiency and the pricing kernel are closely related. A non-monotonic decreasing pricing kernel implies the existence of a trading strategy in contingent claims that stochastically ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4f1a7d6f8c7369927a1929764c86e10e
https://doi.org/10.1080/1351847x.2019.1581638
https://doi.org/10.1080/1351847x.2019.1581638
Publikováno v:
SSRN Electronic Journal.
Is it possible to achieve almost riskless, nonfluctuating investment payoffs in the long run, at a fraction of the traditional funding requirement, using equity investments? The persistence of low interest rates is spurring research on this question
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::13029d262156326f870910f27b079fbe
https://doi.org/10.2139/ssrn.3580762
https://doi.org/10.2139/ssrn.3580762
Publikováno v:
The European Journal of Finance. 24:413-425
The estimation of joint tail risk is necessary to evaluate the size of portfolio margins and default funds of central counterparties. The ability of filtered historical simulation to satisfy new regulatory requirements in this area is examined at the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::db39308fd79511afed704b1c3f844eab
https://doi.org/10.1080/1351847x.2017.1308876
https://doi.org/10.1080/1351847x.2017.1308876
Publikováno v:
Journal of Forecasting.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::db72582098599b8f8776d3c7c121b69b
https://doi.org/10.1002/for.2580
https://doi.org/10.1002/for.2580
Publikováno v:
SSRN Electronic Journal.
The problem of market predictability can be decomposed into two parts: predictive models and predictors. At first, we show how the joint employment of model selection and machine learning models can dramatically increase our capability to forecast th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c416151085f6c8daf3dd1f7a7ddc87bd
https://doi.org/10.2139/ssrn.3356736
https://doi.org/10.2139/ssrn.3356736
Publikováno v:
SSRN Electronic Journal.
Empirical indicators of sentiment are commonly employed in the economic literature while a precise understanding of what is sentiment is still missing. Exploring the links among the most popular proxies of sentiment, fear and uncertainty this paper a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0f4d3105ac52f60146d43b1e6c43accf
https://doi.org/10.2139/ssrn.3195733
https://doi.org/10.2139/ssrn.3195733